L2-Tracking of Gaussian Distributions via Model Predictive Control for the Fokker–Planck Equation

• Published in: Vietnam journal of mathematics Vol. 46; no. 4; pp. 915 - 948
• Main Authors: Fleig, Arthur, Grüne, Lars
• Format: Journal Article
• Language: English
• Published: Singapore Springer Singapore 01.12.2018
• Subjects: Mathematics; Mathematics and Statistics; Fokker–Planck equation; Stochastic optimal control; 93C15; Probability density function; 35Q84; 49N35; Model Predictive Control; 35Q93; 60G15

This paper presents the first results for the stability analysis of Model Predictive Control schemes applied to the Fokker–Planck equation for tracking probability density functions. The analysis is carried out for linear dynamics and Gaussian distributions, where the distance to the desired referen...